It is possible to attach GDB to any running instance of S2E. S2E relies on the QEMU GDB interface, which can be enabled with the -s command line option. This option creates a socket on port number 1234.
$ ./i386-s2e-softmmu/qemu -s2e-config-file config.lua -s
Once the guest is launched and the program is running, attach GDB to it.
$ gdb /path/to/my/prog
(gdb) target remote localhost:1234
#use gdb as usual (set breakpoints, source directories, single-step, etc.).